Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0010
Annualized Std Dev 0.2763
Annualized Sharpe (Rf=0%) 0.0037

Row

Daily Return Statistics

Close
Observations 5575.0000
NAs 1.0000
Minimum -0.2764
Quartile 1 -0.0069
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0070
Maximum 0.4435
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0174
Skewness 2.4815
Kurtosis 99.8516

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0150
Loss Deviation 0.0131
Downside Deviation (MAR=210%) 0.0163
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.5806
Historical VaR (95%) -0.0223
Historical ES (95%) -0.0380
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-03-12 2009-03-09 2019-08-21 -0.5806 3131 503 2628
2019-08-26 2020-03-23 NA -0.5423 396 145 NA
1999-01-06 2000-04-05 2004-09-22 -0.3065 1428 314 1114
2005-08-19 2005-10-18 2006-07-18 -0.1694 229 42 187
2005-02-10 2005-03-28 2005-06-29 -0.1521 97 31 66

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1 0 -1 0 0.5 -0.5 -1.7 0 1.2 0 0.6 1.9 1.9
2000 1.2 0 -0.7 0 1.3 0 0.6 0 0 0 -0.6 -0.6 1.3
2001 0.4 0 -0.9 0 -0.4 3 0.4 -0.3 -1 1 0 2.1 4.4
2002 0 -0.6 1 -1.9 -0.5 -0.5 -1.5 2.5 0 1.6 0 2.7 2.7
2003 -0.1 1.4 3 1.1 0.9 -1.3 0.6 -0.5 0.5 -0.5 0.9 2.7 9.1
2004 -0.8 -0.6 0.4 0 0.4 0 0.3 -0.3 1.3 0.1 -0.2 -1.3 -0.7
2005 0 0 -1.1 0.1 0.6 0.4 1.2 0.7 0.3 0.7 -1 1.8 3.8
2006 0.3 0.1 0.4 0.1 1 2.4 -0.1 -0.5 0 0 -0.7 0.1 3
2007 -0.8 1.3 0.1 1 -0.6 0 -1.6 0.7 0.2 1.2 2 -2 1.4
2008 -0.5 1.8 -0.4 -1.8 -1.5 0 -0.8 0.5 5 -2.9 -4.5 -2.6 -7.8
2009 -2.4 2.1 -2 5.8 1.5 -1.3 -3.8 -2.4 -1 -0.6 0.5 1.7 -2.3
2010 0.4 1.1 1 -1.6 -1.6 0.7 0 0 0.5 -1.5 -2.1 0.5 -2.5
2011 0.1 -4.3 0.5 0.1 1.3 0.4 0.6 0.8 1 0.5 -0.4 0 0.5
2012 0.3 -0.4 1 0.8 1.6 -0.2 1.5 -2 -0.6 -0.7 0.7 0.7 2.8
2013 -0.1 -1.1 0.4 -0.3 -0.8 -0.8 -2 0.1 -1.4 0.2 0.4 0.7 -4.5
2014 0.4 -0.1 2.4 1.1 -0.7 0.5 -1.9 -1.4 -0.2 -0.2 0 -0.4 -0.6
2015 -0.6 -0.1 0.3 0 0 0.8 -1.4 -1.9 -0.4 -0.4 -1.6 -1.6 -6.6
2016 -0.3 0.2 -0.7 3.2 0.5 1.4 -0.1 -0.8 -0.8 0.7 1.2 1 5.6
2017 -1 -0.7 0 2.2 -0.6 -0.4 -0.9 -1 -0.8 0.5 -0.6 0.7 -2.6
2018 1.2 -0.1 0.8 0.9 0.8 -1 0.1 0.6 -0.1 0.9 0.5 0.7 5.4
2019 0 0.6 0.1 -1.2 1.2 -2 1.5 -2.2 -0.5 1.7 -0.1 -1.6 -2.7
2020 -0.2 -4.2 3.1 1 -0.4 -2.7 -2.7 -0.9 0.4 -2.6 -0.1 0.2 -8.9
2021 -0.5 -0.5 -0.7 NA NA NA NA NA NA NA NA NA -1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  12.1 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  12.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  12.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  12   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  12   SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  11.9 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart